Naslov
Detecting multifractal stochastic processes under heavy-tailed effects

Autori
Grahovac, Danijel ; Leonenko, Nikolai

Izvornik
Chaos, solitons and fractals (0960-0779) 65 (2014); 78-89

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
multifractal stochastic processes; partition function; scaling function; multifractal spectrum; heavy tails

Sažetak
Multifractality of a time series can be analyzed using the partition function method based on empirical moments of the process. In this paper we analyze the method when the underlying process has heavy-tailed increments. A nonlinear estimated scaling function and non-trivial spectrum are usually considered as signs of a multifractal property in the data. We show that a large class of processes can produce these effects and that this behavior can be attributed to heavy tails of the process increments. Examples are provided indicating that multifractal features considered can be reproduced by simple heavy-tailed Lévy process.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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